ALM 관점에서의 비은행금융기관 해외투자와 외환시장 안정성

초록

There has been a notable recent increase in overseas investment by nonbank financial institutions. National Pension Fund of Korea, for example, has voted to expand its overseas investment up to 55% of its portfolio by 2025. However, given the pension-like nature of liabilities in most Korean nonbank financial institutions, they are highly exposed to the aging population trends. Most pension funds, for example, are projected to have their surplus reserves increase for a time, followed by its rapid decline, resulting in a clear funding life-cycle. In this study, we explore into the overseas investment trends of nonbank financial institutions as well as their currency risk management. We further provide predictions on how their investment and risk management would likely change over their funding life-cycle, and how this would affect the Korean foreign exchange market. Our main results are as follows. National Pension Fund holds a dominant position on overseas investment among Korean nonbank financial institutions. Others with active investment in overseas assets include pension funds, mutual aid associations, and life insurances. These institutions all share a common problem, namely that their funding health is highly dependent on Korea’s ultra-aging population problem. In particular, from around 2040, National Pension Fund is projected to liquidate a substantial proportion of its overseas assets to meet the liability demands, and during the liquidation process, we expect a sizable impact on the foreign exchange and currency derivative markets. Consequently, we highlight the importance of mutual cooperation and communication between relevant regulatory authorities to minimize the market impact at the time of the National Pension Fund’s liquidation and the need to search for a diverse set of policy solutions including strategic management on the speed of asset liquidation, maintaining a layer of ambiguity over the National Pension Fund’s currency hedging policies, the use of currency swaps, and/or direct purchasing of the National Pension Fund’s existing overseas bonds to manage the foreign reserves.

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